Case File
efta-01357637DOJ Data Set 10OtherEFTA01357637
Date
Unknown
Source
DOJ Data Set 10
Reference
efta-01357637
Pages
1
Persons
0
Integrity
Extracted Text (OCR)
Text extracted via OCR from the original document. May contain errors from the scanning process.
6.000w
5.000c
4.000.
4
3.000.
2.000.4
1.000•
0.000q
It 10yr Bund vieWs (R1)
• 30yr Butt Yie.cis
■ loyr EUR Swaps (R2)
■ 30yr EUR Swaps (L2)
'00 I 101 E '02 I '031 '04 I '05
'06 I T7 I '08
'091 '10 I '11 1 '11 I '13 I '14
'15
►6.0000
►5.0000
►4.0000
►3.0000
►2.0000
. 1.0030
►6.0000
Indicative Transaction Terms:
Client buys:
CMS Cap on 30y EUR
Terminal Payout:
Notional max (Terminal
CMS rate, Single Look at Expiry
CMS rate — strike, 0)
Currency
EUR
[repeated 6 times]
Strike
1.00%
1.00%
1.25%
1.25%
1.50%
1.50%
Expiry
1y
2y
1y
2y
ty
2y
Tail
30y
[repeated 6 times]
ATMF
0.94%
1.07%
I
0.94%
1.07%
0.94%
1.07%
Offer (mid) bps
26 (23)
46 (40)
16 (14)
34 (30)
10 (8)
25 (21)
[ Break Even
1.26%
1.46%
I
1.41%
1.59%
1.60%
1.75%
Terminal Payout Chart for 1% strike CMS Caps on 30y
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0044303
CONFIDENTIAL
SDNY_GM_00190487
EFTA01357637
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